| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 335.23% | 145.33% |
| CAGR﹪ | 13.54% | 8.06% |
| Sharpe | 0.92 | 0.7 |
| Prob. Sharpe Ratio | 99.87% | 99.09% |
| Smart Sharpe | 0.84 | 0.64 |
| Sortino | 1.51 | 1.14 |
| Smart Sortino | 1.38 | 1.03 |
| Sortino/√2 | 1.07 | 0.8 |
| Smart Sortino/√2 | 0.97 | 0.73 |
| Omega | 1.97 | 1.7 |
| Max Drawdown | -23.93% | -15.7% |
| Max DD Date | 2022-09-30 | 2016-01-31 |
| Max DD Period Start | 2022-01-31 | 2015-02-28 |
| Max DD Period End | 2023-11-30 | 2017-06-30 |
| Longest DD Days | 669 | 855 |
| Volatility (ann.) | 15.03% | 12.12% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.57 | 0.51 |
| Skew | -0.33 | -0.08 |
| Kurtosis | 0.53 | 0.73 |
| Ulcer Performance Index | 55.1 | 19.05 |
| Risk-Adjusted Return | 1338.69% | 408.86% |
| Risk-Return Ratio | 0.27 | 0.2 |
| Avg. Return | 1.16% | 0.71% |
| Avg. Win | 3.68% | 2.85% |
| Avg. Loss | -4.16% | -3.5% |
| Win/Loss Ratio | 0.88 | 0.81 |
| Profit Ratio | 0.42 | 0.65 |
| Expected Daily | 1.06% | 0.65% |
| Expected Monthly | 1.06% | 0.65% |
| Expected Yearly | 13.04% | 7.77% |
| Kelly Criterion | 32.57% | 15.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.98% | -5.05% |
| Expected Shortfall (cVaR) | -8.32% | -6.53% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 3 | 6 |
| Gain/Pain Ratio | 0.97 | 0.7 |
| Gain/Pain (1M) | 0.97 | 0.7 |
| Payoff Ratio | 0.88 | 0.81 |
| Profit Factor | 1.97 | 1.7 |
| Common Sense Ratio | 2.46 | 1.95 |
| CPC Index | 1.19 | 0.86 |
| Tail Ratio | 1.25 | 1.15 |
| Outlier Win Ratio | 3.13 | 2.99 |
| Outlier Loss Ratio | 2.42 | 3.05 |
| MTD | -1.05% | -3.95% |
| 3M | 13.91% | 1.62% |
| 6M | 8.94% | 6.55% |
| YTD | 8.94% | 6.55% |
| 1Y | 20.92% | 24.35% |
| 3Y (ann.) | 18.77% | 10.95% |
| 5Y (ann.) | 12.51% | 6.32% |
| 10Y (ann.) | 15.13% | 9.96% |
| All-time (ann.) | 13.54% | 8.06% |
| Best Day | 12.7% | 12.28% |
| Worst Day | -12.49% | -9.28% |
| Best Month | 12.7% | 12.28% |
| Worst Month | -12.49% | -9.28% |
| Best Year | 31.22% | 32.3% |
| Worst Year | -18.18% | -11.01% |
| Avg. Drawdown | -5.88% | -8.12% |
| Avg. Drawdown Days | 75 | 287 |
| Recovery Factor | 6.72 | 6.27 |
| Ulcer Index | 0.06 | 0.08 |
| Serenity Index | 7.27 | 3.07 |
| Avg. Up Month | 3.68% | 2.85% |
| Avg. Down Month | -4.16% | -3.5% |
| Win Days | 68.35% | 61.87% |
| Win Month | 68.35% | 61.87% |
| Win Quarter | 76.6% | 70.21% |
| Win Year | 83.33% | 75.0% |
| Beta | - | 0.49 |
| Alpha | - | 0.02 |
| Correlation | - | 61.08% |
| Treynor Ratio | - | 294.95% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | 1.23 | -9.07 | -7.34 | - |
| 2016 | 12.00 | 7.97 | 0.66 | - |
| 2017 | 21.71 | 17.47 | 0.80 | - |
| 2018 | -4.57 | -3.71 | 0.81 | + |
| 2019 | 31.22 | 7.77 | 0.25 | - |
| 2020 | 18.33 | 32.30 | 1.76 | + |
| 2021 | 28.73 | 18.52 | 0.64 | - |
| 2022 | -18.18 | -11.01 | 0.61 | + |
| 2023 | 26.18 | 4.53 | 0.17 | - |
| 2024 | 24.89 | 7.94 | 0.32 | - |
| 2025 | 17.72 | 22.17 | 1.25 | + |
| 2026 | 8.94 | 6.55 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2017-06-30 | -15.70 | 854 |
| 2022-04-30 | 2024-08-31 | -15.42 | 855 |
| 2018-09-30 | 2020-06-30 | -14.32 | 640 |
| 2026-03-31 | 2026-07-31 | -9.28 | 123 |
| 2024-12-31 | 2025-07-31 | -5.49 | 213 |
| 2018-02-28 | 2018-06-30 | -4.77 | 123 |
| 2020-09-30 | 2020-10-31 | -4.56 | 32 |
| 2021-09-30 | 2021-09-30 | -4.40 | 1 |
| 2021-11-30 | 2021-11-30 | -3.94 | 1 |
| 2022-01-31 | 2022-02-28 | -3.29 | 29 |